Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions

DOI10.1239/jap/1445543847zbMath1334.60166arXiv1310.6928OpenAlexW2963066152MaRDI QIDQ3449933

Konstantinos V. Spiliopoulos

Publication date: 30 October 2015

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.6928

zbMATH Keywords

importance samplingstochastic differential equationsMonte Carlo methodasymptotic expansionslarge deviationssmall noise diffusions

Mathematics Subject Classification ID

Random fields (60G60) Central limit and other weak theorems (60F05) Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Large deviations (60F10)

Related Items (7)

A Koopman framework for rare event simulation in stochastic differential equations ⋮ Rare Event Simulation for Multiscale Diffusions in Random Environments ⋮ Importance Sampling for Metastable and Multiscale Dynamical Systems ⋮ Importance sampling for the empirical measure of weakly interacting diffusions ⋮ An Automatic Adaptive Importance Sampling Algorithm for Molecular Dynamics in Reaction Coordinates ⋮ Importance sampling in path space for diffusion processes with slow-fast variables ⋮ Symmetrized importance samplers for stochastic differential equations

Cites Work

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• Rare Event Simulation of Small Noise Diffusions
• Importance Sampling, Large Deviations, and Differential Games
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